On the Wassertein distance for a martingale central limit theorem
Probability
2022-09-20 v1
Abstract
We prove an upper bound on the Wassertein distance between normalized martingales and the standard normal random variable, which extends a result of R\"ollin [Statist. Probabil. Lett. 138 (2018) 171-176]. The proof is based on a method of Bolthausen [Ann. Probab. 10 (1982) 672-688].
Cite
@article{arxiv.2005.00814,
title = {On the Wassertein distance for a martingale central limit theorem},
author = {Xiequan Fan and Xiaohui Ma},
journal= {arXiv preprint arXiv:2005.00814},
year = {2022}
}